A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This paper solves Siegel's paradox about future exchange rates.
In his stimulating article on the reasons for two puzzling observations about the behaviour of interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an explanation that rests on the concept of a non-pecuniary liquidity return on assets. Albeit intriguing the analysis struggles to a…
Develops a new model for cross-currency derivatives pricing.
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a chan…
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of the Indian rupee vis a vis the US Dollar. Further, factors reflecting political…
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currenc…
Study finds relevance of exchange and inflation rates to economic factors.
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular…
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange …
Modeling exchange rates and options using entropic dynamics.
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
New definition for forward rates in multi-state models.
Bayesian method learns volatility from noisy data.
IUS framework predicts EUR/USD exchange rate with improved accuracy.
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a time-dependent correlation between the rates. To provide insights into the clus…
Compact embedding for forward rate curves simplifies approximations.
We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at…
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
The paper models exchange rate risk premium using mean-reverting dynamics.
The paper explores local-correlation models for pricing complex financial contracts.
Two-dimensional transition rates improve life insurance reserve calculations.
Central bank optimizes exchange rate interventions to minimize costs.
A new framework assesses liquidity risk in perpetual futures exchanges.
In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling…
On Jan. 1, 1999 the European Union introduced a common currency Euro (), to become the legal currency in all eleven countries which form the . In order to test the behavior and understand various features, the exchange rate is artificially extrapolated back to 1993 by a linear superposition of the…
Study examines USD exchange rate dynamics using Kramers-Moyal expansion.
Study reveals lead-lag patterns between onshore and offshore RMB exchange rates.
Study shows demonetization strengthened Indian currency and stock market.
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
Study improves exchange rate forecasting using machine learning and interpretable methods.
In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior of the exchange rates. We find that big amount of interventions can shift the a…
Neural ARFIMA model improves exchange rate forecasting for BRIC economies.
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all nominal interest rates remain positive in the model. We give examples where our mode…
The Euro (EUR) has been a currency introduced by the European Community on Jan. 01, 1999. This implies eleven countries of the European Union which have been found to meet the five requirements of the Maastricht convergence criteria. In order to test EUR behavior and understand various features, we have extrapolated th…
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly a…
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time V…
This study optimizes trading and arbitrage in decentralized finance's CPMs, revealing convexity costs and developing efficient strategies.
The paper identifies key macroeconomic events affecting exchange rate volatility.
The paper develops stochastic models for mortality rates using infinite dimensional processes.
Maximum principle proves positivity of forward rates in stochastic models.
It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying overnight cash and carry arguments as they imply absence of funding advantage of one currency to the other. This paper proposes a heuristic present value concept for multi-currency pricing and hedging which a…
Central bank strategy to maintain currency exchange rate within limits.
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of indiv…
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves are not directly observable from the market so that non-trivial observational e…
Study examines how COVID-19 affected India's exchange rates and stock market.